XLE
The Energy Select Sector SPDR Fund
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-28
Executive Summary
The quantitative backtest for XLE (The Energy Select Sector SPDR Fund) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -37.5% (compared to the benchmark's drawdown of -71.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 5.8%, compared to a Buy-and-Hold benchmark return of 8.0%. The strategy executed 34 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Investment Objective
🛡️ Long-Term Investing Active
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
Switch to MMA to enable
XLE Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 20.91% | 34.81% | 9.48% | 22.68% | 6.00% | 9.99% | 5.82% | 8.04% |
| Sharpe Ratio | 0.96 | 1.42 | 0.41 | 0.79 | 0.30 | 0.32 | 0.31 | 0.27 |
| Max Drawdown | -15.40% | -14.98% | -37.53% | -26.04% | -37.53% | -66.81% | -37.53% | -71.26% |
| % Time Invested | 84.1% | 100.0% | 77.1% | 100.0% | 65.5% | 100.0% | 65.0% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.8 | 0.0 | 1.5 | 0.0 | 1.3 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 2025-04-07 | 2025-08-29 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.71% | Interest Income | |
| 2025-03-11 | 2025-04-07 | Completed | 100% | $42.21 | $36.66 | -13.20% | Stop | |
| 2025-02-10 | 2025-03-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2024-11-26 | 2025-02-10 | Completed | 100% | $45.19 | $42.64 | -5.68% | Signal | |
| 2024-11-04 | 2024-11-26 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2024-02-27 | 2024-11-04 | Completed | 100% | $39.88 | $41.95 | 5.12% | Signal | |
| 2024-01-18 | 2024-02-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.57% | Interest Income | |
| 2023-07-27 | 2024-01-18 | Completed | 100% | $39.34 | $36.98 | -6.03% | Signal | |
| 2023-05-15 | 2023-07-27 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.05% | Interest Income | |
| 2023-04-05 | 2023-05-15 | Completed | 100% | $38.37 | $35.48 | -7.57% | Signal | |
| 2023-03-14 | 2023-04-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2022-10-18 | 2023-03-14 | Completed | 100% | $36.14 | $36.06 | -0.27% | Stop | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-07-13 | 2022-09-26 | Completed | 100% | $29.62 | $30.89 | 4.22% | Stop | |
| 2022-06-17 | 2022-07-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2021-08-11 | 2022-06-17 | Completed | 100% | $20.65 | $33.31 | 61.22% | Stop | |
| 2021-07-20 | 2021-08-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-12-22 | 2021-07-20 | Completed | 100% | $15.53 | $19.58 | 25.99% | Stop | |
| 2020-02-04 | 2020-12-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2020-01-21 | 2020-02-04 | Completed | 100% | $22.50 | $20.48 | -9.04% | Signal | |
| 2019-08-02 | 2020-01-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.80% | Interest Income | |
| 2019-07-15 | 2019-08-02 | Completed | 100% | $23.54 | $22.44 | -4.73% | Stop | |
| 2019-05-24 | 2019-07-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.30% | Interest Income | |
| 2019-02-21 | 2019-05-24 | Completed | 100% | $23.81 | $22.37 | -6.11% | Stop | |
| 2018-10-25 | 2019-02-21 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.75% | Interest Income | |
| 2018-03-07 | 2018-10-25 | Completed | 100% | $23.31 | $23.80 | 2.05% | Stop | |
| 2018-02-12 | 2018-03-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2017-09-20 | 2018-02-12 | Completed | 100% | $23.02 | $23.50 | 2.05% | Stop | |
| 2017-04-25 | 2017-09-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.41% | Interest Income | |
| 2016-05-05 | 2017-04-25 | Completed | 100% | $21.84 | $23.17 | 6.04% | Signal | |
| 2015-10-28 | 2016-05-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2015-10-09 | 2015-10-28 | Completed | 100% | $22.64 | $21.57 | -4.78% | Stop | |
| 2014-10-09 | 2015-10-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2012-09-06 | 2014-10-09 | Completed | 100% | $21.65 | $27.67 | 27.78% | Stop | |
| 2012-05-18 | 2012-09-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.03% | Interest Income | |
| 2012-02-09 | 2012-05-18 | Completed | 100% | $22.24 | $19.59 | -12.00% | Stop | |
| 2011-08-08 | 2012-02-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2010-10-28 | 2011-08-08 | Completed | 100% | $17.63 | $19.50 | 10.57% | Stop | |
| 2010-06-22 | 2010-10-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.05% | Interest Income | |
| 2010-06-01 | 2010-06-22 | Completed | 100% | $15.26 | $16.30 | 6.72% | Signal | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-06-19 | 2010-05-07 | Completed | 100% | $14.50 | $16.35 | 12.71% | Stop | |
| 2009-01-13 | 2009-06-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2009-01-07 | 2009-01-13 | Completed | 100% | $14.60 | $13.37 | -8.46% | Stop | |
| 2008-09-03 | 2009-01-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2008-08-08 | 2008-09-03 | Completed | 100% | $20.20 | $19.90 | -1.55% | Signal | |
| 2008-07-17 | 2008-08-08 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2008-02-13 | 2008-07-17 | Completed | 100% | $20.30 | $21.98 | 8.25% | Stop | |
| 2008-01-22 | 2008-02-13 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2007-09-11 | 2008-01-22 | Completed | 100% | $19.68 | $17.98 | -8.69% | Stop | |
| 2007-08-17 | 2007-09-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2006-11-30 | 2007-08-17 | Completed | 100% | $16.68 | $18.82 | 12.80% | Stop | |
| 2006-10-16 | 2006-11-30 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.63% | Interest Income | |
| 2006-07-07 | 2006-10-16 | Completed | 100% | $15.97 | $14.97 | -6.31% | Signal | |
| 2006-06-14 | 2006-07-07 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2005-11-11 | 2006-06-14 | Completed | 100% | $12.82 | $13.89 | 8.31% | Stop | |
| 2005-10-20 | 2005-11-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2005-06-09 | 2005-10-20 | Completed | 100% | $11.61 | $13.00 | 11.88% | Stop | |
| 2005-05-17 | 2005-06-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.19% | Interest Income | |
| 2003-04-14 | 2005-05-17 | Completed | 100% | $5.84 | $10.54 | 80.35% | Stop | |
| 2002-07-12 | 2003-04-14 | Interest (CASH) | 100% | $1.00 | $1.01 | 1.04% | Interest Income | |
| 2002-04-12 | 2002-07-12 | Completed | 100% | $7.12 | $6.24 | -12.45% | Stop | |
| 2001-10-19 | 2002-04-12 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.85% | Interest Income | |
| 2001-10-11 | 2001-10-19 | Completed | 100% | $7.35 | $6.82 | -7.19% | Stop | |
| 2001-07-12 | 2001-10-11 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.73% | Interest Income | |
| 2000-12-14 | 2001-07-12 | Completed | 100% | $7.92 | $7.49 | -5.52% | Stop | |
| 2000-12-12 | 2000-12-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |